Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Dec 31 (1D) | Jan 01 (2D) | Jan 02 (3D) | Jan 05 (6D) | Jan 06 (7D) | Jan 07 (8D) | Jan 08 (9D) | Jan 09 (10D) | Jan 12 (13D) | Jan 13 (14D) | Jan 16 (17D) | Jan 23 (24D) | Jan 30 (31D) | Feb 06 (38D) | Feb 13 (45D) | Feb 20 (52D) | Feb 27 (59D) | Mar 06 (66D) | Mar 13 (73D) | Mar 20 (80D) | Mar 27 (87D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 681.908 | 679.783 | 678.152 | 674.47 | 673.463 | 672.525 | 671.645 | 670.812 | 668.537 | 667.839 | 665.882 | 661.90 | 658.468 | 655.406 | 652.616 | 650.035 | 647.623 | 645.35 | 643.195 | 641.141 | 639.175 |
| upper | 692.172 | 694.297 | 695.928 | 699.61 | 700.617 | 701.555 | 702.435 | 703.268 | 705.543 | 706.241 | 708.198 | 712.18 | 715.612 | 718.674 | 721.464 | 724.045 | 726.457 | 728.73 | 730.885 | 732.939 | 734.905 |
| expected move | 5.132 | 7.257 | 8.888 | 12.57 | 13.577 | 14.515 | 15.395 | 16.228 | 18.503 | 19.201 | 21.158 | 25.14 | 28.572 | 31.634 | 34.424 | 37.005 | 39.417 | 41.69 | 43.845 | 45.899 | 47.865 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
